题　目：Gross Profit, Moving-Average Trend, and Latent Factor Models

嘉　宾：杨欢 讲师 四川师范大学

主持人：张澄宇 助理教授 上海交通大学安泰经济与管理学院

时　间：2025年7月16日（周三）10:00-11:30

地　点：上海交通大学 徐汇校区安泰浩然楼306室

内容简介:

We define GAP as the difference between the current level of gross profit and its moving average over the past eight quarters. The OLS and WLS Fama-MacBeth t-statistic associated with GAP exceeds 20.0 and 7.0, respectively. The corresponding long-short value-weighted hedge portfolio generates a raw return (t-statistic) of 1.246% (8.40) per month. The alpha (t-statistic) relative to the Fama and French (2015) five-factors plus the momentum factor is 0.952% (6.55) per month. The new measure GAP dominates the estimated trend parameter TREND from Akbas, Jiang, and Koch (2017) in the cross-sectional regressions. We construct two new risk factors RMW_GAP and RMW_TREND. The average premium from RMW_GAP is twice as large as that from RMW_TREND with a slightly lower standard deviation. We further estimate the newly developed instrumented principal component analysis (IPCA) models. The new measure GAP is a highly significant instrument for betas in latent factor models. In summary, we provide strong evidence that the stock market is rewarding incremental performance in gross profit relative to its moving average trend in the past quarters.

演讲人简介：

杨欢，金融学博士，本硕博毕业于西南财经大学，现四川师范大学讲师，曾赴香港城市大学商学院、新加坡管理大学访问交流。研究方向为实证资产定价。

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